Nonparametric Bayesian drift estimation for multidimensional stochastic differential equations* |
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| Authors: | Shota Gugushvili Peter Spreij |
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| Institution: | 1. Mathematical Institute, Leiden University, PO Box 9512, 2300 RA, Leiden, The Netherlands
2. Korteweg-de Vries Institute for Mathematics, University of Amsterdam, PO Box 94248, 1090 GE, Amsterdam, The Netherlands
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| Abstract: | We consider nonparametric Bayesian estimation of the drift coefficient of a multidimensional stochastic differential equation from discrete-time observations on the solution of this equation. Under suitable regularity conditions, we establish posterior consistency in this context. |
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